MAKROEKONOMİK FAKTÖRLERİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA

Öz

Çalışmada enflasyon, faiz oranı, döviz kuru, sanayi üretim endeksi ve petrol fiyatları faktörlerinin BİST-100 endeksi üzerindeki etkisi çok faktörlü regresyon modeli ile araştırılmış; endeks ile faktörler arasındaki karşılıklı nedensellik ilişkisinin tespitine yönelik Johansen eş bütünleşme testi, vektör hata düzeltme modeli ve Granger nedensellik testi uygulanmıştır. Sonuçta döviz kuru değişkeni BİST-100 üzerinde açıklayıcılığa sahip tek faktör olarak bulunmuştur. Sanayi ve döviz kurunun BİST-100’deki değişimlerin tahmin edilmesinde kullanılabileceği ancak tersinin geçerli olmadığı, BİST-100’ün yalnızca petrol değişkeni için Granger nedenselliğine sahip olduğu görülmüştür.

Anahtar Kelimeler

• Makroekonomik faktörler,hisse senedi getirileri,çok faktörlü modeller,eş bütünleşme,vektör oto regresyon,Granger nedensellik

THE EFFECTS OF MACROECONOMIC FACTORS ON STOCK MARKETS: AN APPLICATION IN BORSA ISTANBUL

Öz

In this study, the effects of factors on BIST-100 index that are inflation, interest rate, exchange rate, industrial production index and oil prices are investigated by a multifactor regression model; Johansen co integration test, vector error correction model and Granger causality test are performed in order to determine the mutual causality relation between factors and stock market index. As a result, exchange rate is found as the only factor that explains BIST-100. Industry production index and exchange rate can be used to predict changes in BIST-100 but opposite is not valid; BIST-100 Granger causes only oil price factor

Anahtar Kelimeler

• Macroeconomic factors,stock returns,multi factored models,co integration,vector auto regression,Granger causality

Kaynakça

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